Paul Wilmott Tutor: Paul Wilmott
Duration: 2 days Duration: 2 days
Advanced Credit Risk Modeling Advanced Equity Derivatives
Tutor: Wim Schoutens Tutor: Paul Wilmott
Duration: 2 days Duration: 2 days
Advanced Fixed Income Modeling Advanced Numerical Methods
Tutor: Claudio Albanese Tutor: Paul Wilmott
Duration: 2 days Duration: 2 days
Advanced Portfolio Management Advanced Risk Management
Tutor: Jason MacQueen Tutor: Paul Wilmott
Duration: 2 days Duration: 2 days
Advanced Stochastic Calculus Alternative Investments
Tutor
The document provides information about the Certificate in Quantitative Finance (CQF) program. The 6-month part-time program teaches practical quantitative finance techniques and consists of 6 modules with weekly exercises and exams. CQF alumni gain access to lifelong learning programs including additional lectures, a C++ course, and a trading simulator. The program is delivered globally through online lectures to provide flexible learning for finance professionals.
Best practices For Creating Compelling DashboardsGoodData
This document outlines tips for creating compelling dashboards. It discusses what dashboards are, why they are used, and provides examples. The main points are:
Dashboards measure business processes and align stakeholders around key objectives. Examples shown include sales, marketing, support and social media dashboards.
Five tips for creating effective dashboards are: know what message you want to convey; set clear performance goals; use visuals that clearly tell the story; keep the dashboard simple; and collaborate, validate and test the dashboard.
Excel 2010 brought with it two new features which extend the usefulness of pivot tables: the slicer and the timeline. They are really useful, among other use cases, when you want to easily monitor indicators in your data. Join our fellow Sheena Opulencia-Calub to learn more about this.
The document discusses derivatives, including their growth and types. It provides examples of how derivatives like futures, forwards, options, and swaps work and how they can be used for hedging and speculation. The key types of derivatives are over-the-counter derivatives, which are privately negotiated between two parties, and exchange-traded derivatives, which are traded on organized exchanges.
Creating Interactive Dashboards with Microsoft ExcelAACRAO
Sign up to view the archived webinar here: http://www.aacrao.org/conferences/conferences-detail-view/creating-interactive-dashboards-in-excel
Other college’s dashboards making you see green even though it is not your school color? No budget for specialized dashboard programs? Can’t keep up with end-user demands for different analyses?
New features in Excel 2010 and 2013 allow even casual users to create interactive dashboards that are both functional and great looking allowing you and your end-users to explore your data in ways you have only imagined—allowing you to convert your data into actionable information.
Even if you are a Pivot Table novice, you can create functional and great looking dashboards. In this webinar, we will show you the basic steps for creating interactive dashboards in Excel 2010 and 2013. Taking a holistic SEM approach, we will examine several use-cases throughout the student lifecycle.
From setting up your data, to creating the dashboard and modifying it to your own school colors, we will cover the basics of setting up a simple, yet interactive and informative dashboards. Some basic knowledge of Pivot Tables is useful but not required.
Dokumen tersebut memberikan penjelasan mengenai Excel VBA Macro, mulai dari pengenalan makro, cara membuat makro, menggunakan Excel Macro Recorder, dasar-dasar VBA seperti variabel, pernyataan if-then, looping, objek workbook dan worksheet, hingga pembuatan kontrol seperti textbox, listbox, checkbox, dan userform.
The document focuses on a company's budgeted income statement, capital expenditures, and cash position and balance sheet. It includes charts projecting increases in gross margin, operating margin, and net margin percentages each year from 2011 to 2020.
This document discusses best practices for financial modeling. It defines financial modeling as using software to create decision support tools for businesses by modeling operational outcomes and financial impacts of business decisions. Spreadsheets, particularly Excel, are commonly used. Models are useful but also carry risks if not developed properly. Best practices focus on three elements: people, process, and principles. The document advocates for a structured approach to modeling in deal contexts due to time pressures, multiple stakeholders, evolving deals and uncertainty.
The document provides information about the Certificate in Quantitative Finance (CQF) program. The 6-month part-time program teaches practical quantitative finance techniques and consists of 6 modules with weekly exercises and exams. CQF alumni gain access to lifelong learning programs including additional lectures, a C++ course, and a trading simulator. The program is delivered globally through online lectures to provide flexible learning for finance professionals.
Best practices For Creating Compelling DashboardsGoodData
This document outlines tips for creating compelling dashboards. It discusses what dashboards are, why they are used, and provides examples. The main points are:
Dashboards measure business processes and align stakeholders around key objectives. Examples shown include sales, marketing, support and social media dashboards.
Five tips for creating effective dashboards are: know what message you want to convey; set clear performance goals; use visuals that clearly tell the story; keep the dashboard simple; and collaborate, validate and test the dashboard.
Excel 2010 brought with it two new features which extend the usefulness of pivot tables: the slicer and the timeline. They are really useful, among other use cases, when you want to easily monitor indicators in your data. Join our fellow Sheena Opulencia-Calub to learn more about this.
The document discusses derivatives, including their growth and types. It provides examples of how derivatives like futures, forwards, options, and swaps work and how they can be used for hedging and speculation. The key types of derivatives are over-the-counter derivatives, which are privately negotiated between two parties, and exchange-traded derivatives, which are traded on organized exchanges.
Creating Interactive Dashboards with Microsoft ExcelAACRAO
Sign up to view the archived webinar here: http://www.aacrao.org/conferences/conferences-detail-view/creating-interactive-dashboards-in-excel
Other college’s dashboards making you see green even though it is not your school color? No budget for specialized dashboard programs? Can’t keep up with end-user demands for different analyses?
New features in Excel 2010 and 2013 allow even casual users to create interactive dashboards that are both functional and great looking allowing you and your end-users to explore your data in ways you have only imagined—allowing you to convert your data into actionable information.
Even if you are a Pivot Table novice, you can create functional and great looking dashboards. In this webinar, we will show you the basic steps for creating interactive dashboards in Excel 2010 and 2013. Taking a holistic SEM approach, we will examine several use-cases throughout the student lifecycle.
From setting up your data, to creating the dashboard and modifying it to your own school colors, we will cover the basics of setting up a simple, yet interactive and informative dashboards. Some basic knowledge of Pivot Tables is useful but not required.
Dokumen tersebut memberikan penjelasan mengenai Excel VBA Macro, mulai dari pengenalan makro, cara membuat makro, menggunakan Excel Macro Recorder, dasar-dasar VBA seperti variabel, pernyataan if-then, looping, objek workbook dan worksheet, hingga pembuatan kontrol seperti textbox, listbox, checkbox, dan userform.
The document focuses on a company's budgeted income statement, capital expenditures, and cash position and balance sheet. It includes charts projecting increases in gross margin, operating margin, and net margin percentages each year from 2011 to 2020.
This document discusses best practices for financial modeling. It defines financial modeling as using software to create decision support tools for businesses by modeling operational outcomes and financial impacts of business decisions. Spreadsheets, particularly Excel, are commonly used. Models are useful but also carry risks if not developed properly. Best practices focus on three elements: people, process, and principles. The document advocates for a structured approach to modeling in deal contexts due to time pressures, multiple stakeholders, evolving deals and uncertainty.
Risky business: Guide to Risk ManagementMichael Le
This document provides an introduction to risk management. It defines risk as the probability of an undesired event multiplied by its consequences. There are various types of risk, including market risk, credit risk, and operational risk. Risk is measured using techniques like value at risk and profit and loss. Credit ratings are important but not always reliable indicators of risk. Effective risk management requires understanding potential risks from diverse sources, quantifying exposures, and implementing systems to monitor and report on risk.
The Role Of Mathematical Models In The Current Financial Crisis Athula Alwisathula_alwis
The document discusses the role of mathematical models in the current financial crisis and lessons that can be learned. Key points include:
1) Mathematical models played a role in the crisis by being over-relied upon and used inappropriately to represent complex market conditions.
2) Models failed to capture important risks like liquidity, concentration, and systemic risk. Assumptions used in models were not properly validated.
3) One of the major lessons is that models are tools and should not replace human judgment. Multiple models and metrics are needed to avoid overreliance on any single approach. Assumptions must reflect business realities.
1. The document discusses the verification of financial models to ensure their correctness and correspondence to real-life situations. This involves checking the model assumptions, implementation, and calibration.
2. Examples of model applications that require verification include technical analysis, derivatives pricing, risk measurement, and trading algorithms. Verification methods include backtesting on historical data and simulating specific market conditions.
3. Verification is important as it can find errors in a model or its implementation, help prevent financial disasters, and ensure efforts are not duplicated but provide additional value.
EXTENT Conference - October 2011
Test Automation for Trading Systems
Verification of Financial Models:Duplication of Development Efforts?
Alyona Lamash, Head of Risk Management Systems Practice Innovative Trading Systems
Boris Rabinovich, Senior QA Analyst ITS
Repo, Security, Collateral Management –are we on the right track? - Godfried ...László Árvai
The document summarizes key findings from an ICMA study on the potential impacts of introducing mandatory buy-ins under the Central Securities Depositories Regulation (CSDR). The study found that liquidity across European bond and repo markets would significantly decrease, with bid-offer spreads widening dramatically. For less liquid bonds, market makers would withdraw liquidity or stop providing quotes altogether. The repo market would also be significantly affected, with more reliance on short-term repo and withdrawals of liquidity for less liquid bonds. The study estimates the costs of these impacts for bond and repo markets would be substantial.
Presentation to National Investor Relations Insittue (NIRI) and Financial Executives Instittue (FEI) in Columbus, Ohio making the business case for business ethics
This document discusses convex risk parity and tail risk management strategies for CVA/XVA portfolios. It notes that CVA/XVA desks manage portfolios rather than perfectly hedge risks, and that these risks involve fat tails. It then discusses convex risk parity and tail management approaches. Specifically, it covers risk parity strategies, criticisms of risk parity, and developments like tail risk parity that focus on drawdown protection rather than just volatility. It also discusses portfolio theory considerations regarding drawdown aversion rather than just volatility. The document aims to provide practical portfolio strategies for managing CVA/XVA and cross-asset portfolios with a focus on tail risks.
John Rutledge, Claremont Graduate University February 14, 2012John Rutledge
This lecture deals with recent developments in an area I call Far-From-Equilibrium economics and applies the work to both the recent financial crisis and optimal portfolio theory.
This document discusses approaches to managing risks in sovereign debt restructuring. It proposes using risk management tools ex post to optimize debt restructuring and restore sustainability, as well as implementing sovereign contingent debt (S-CoCo) instruments ex ante to address risks proactively. S-CoCo bonds would trigger a payment standstill and IMF assistance if crisis indicators exceed thresholds. The document also presents a Greece case study analyzing the potential impact of risk management and S-CoCo on its debt situation. Key challenges to S-CoCo adoption are ensuring a solid investor base and coordination with IMF/ESM programs.
Financial Theory & Model Investment Portfolios Ron Surz
Financial theory and model portfolios have evolved significantly over the past 70 years, with major breakthroughs occurring every 10-15 years. Modern portfolio theory from the 1950s laid the foundations, and subsequent developments include the capital asset pricing model, modern investment theory, post-modern portfolio theory, target date funds, and rising equity glide paths in retirement. Today, consultants build diversified model portfolios along the efficient frontier to map investors to portfolios based on their risk preferences and required returns, with the goal of managing to objectives and achieving the necessary rate of return while staying within appropriate risk capacity limits for the individual.
Presented 25-Sep-2013 for Borsa İstanbul's Vadeli İşlem ve Opsiyon Piyasası (VİOP)
Borsa İstanbul : Vadeli İşlem ve Opsiyon Piyasası (VİOP)
- popular strategies' concentrate strikes & cause some skew
- review implied probabilities and conditional payoff are model-free
- gamma trading shows dynamic hedge issues
- volatility is not a normal "asset class"
- market maker's priorities for hedging jumps
- key hidden assumptions causing model risk
- important portfolio mismatch risks
- spotting real options & non-economic options
http://borsaistanbul.com/en/news/2013/09/26/borsa-istanbul-organizes-the-first-of-futures-and-options-market-seminar-series
H2O Consulting is a risk analytics firm with operations in Lugano (Switzerland), specialized in Quantitative Finance, Risk Management, Behavioral Finance and Sentiment Analysis solutions.
We are passionate about innovation and Swiss tradition, creating concrete values and delivering superior quality.
We compete on the market with our awareness, enthusiasm and commitment to our clients.
We believe that our staff is the greatest resource in accomplishing our vision, mission, and goals.
Part 7 switzerland - forum nexus finance class summer 2011Brian David Butler
The document discusses international finance concepts including the "pyramid of promises", fixed vs. flexible exchange rates, and the size of the global financial system. It notes that the modern financial system represents a pyramid of promises totaling $140 trillion in 2005, with the US holding $52 trillion in promises. It describes how exchange rate systems have historically shifted between fixed and flexible regimes and explains some of the tradeoffs between the two approaches.
Gs503 vcf lecture 7 innovation finance i 300315Stephen Ong
This document discusses financing innovation through R&D and the use of Monte Carlo simulation and real options analysis. It begins by looking at typical sources of R&D funding in the US and definitions of basic research, applied research, and development. It then discusses challenges in financing long-term projects like pharmaceutical R&D. Strategic alliances and licensing are presented as major sources of funding for small biotech companies. The document introduces tools like event trees, decision trees, and Monte Carlo simulation that can be used to evaluate projects with uncertainty. It explains how these tools relate to venture capital valuation of companies with significant R&D components.
1) The use of structured credit products grew dramatically from 1996 to 2008, especially credit default swaps and collateralized debt obligations (CDOs).
2) The Gaussian copula model was widely used to price CDOs, but it had limitations and flaws that became apparent, such as assuming a single correlation parameter and not allowing for idiosyncratic defaults.
3) More advanced models were developed to address these issues, including stochastic correlation models, implied copula approaches, and dynamic loss models. However, fitting market prices remained challenging.
High Dimensional Quasi Monte Carlo methods in FinanceStefano Scoleri
Contents:
- Generalities on MC and QMC methods in Pricing and Risk Management
- Global Sensitivity Analysis
- Adjoint Algorithmic Differentiation
- Application to price and Greeks computation of single- and multi-asset options
- Application to the computation of CCR measures
High Dimensional Quasi Monte Carlo Method in FinanceMarco Bianchetti
Monte Carlo simulation in finance has been traditionally focused on pricing derivatives. Actually nowadays market and counterparty risk measures, based on multi-dimensional multi-step Monte Carlo simulation, are very important tools for managing risk, both on the front office side (sensitivities, CVA) and on the risk management side (estimating risk and capital allocation). Furthermore, they are typically required for internal models and validated by regulators.
The daily production of prices and risk measures for large portfolios with multiple counterparties is a computationally intensive task, which requires a complex framework and an industrial approach. It is a typical high budget, high effort project in banks.
In this presentation we focus on the Monte Carlo simulation, showing that, despite some common wisdom, Quasi Monte Carlo techniques can be applied, under appropriate conditions, to successfully improve price and risk figures and to reduce the computational effort.
This work includes and extends our paper M. Bianchetti, S. Kucherenko and S. Scoleri, “Pricing and Risk Management with High-Dimensional Quasi Monte Carlo and Global Sensitivity Analysis”, Wilmott Journal, July 2015 (also available at http://ssrn.com/abstract=2592753).
Bubbles, Crashes & the Financial Cyclepkconference
This document summarizes a presentation given by Sander van der Hoog and Herbert Dawid from Bielefeld University titled "Bubbles, Crashes & the Financial Cycle" given at the 12th International Post-Keynesian Conference in Kansas City in September 2014. The presentation outlines topics related to agent-based macroeconomics, Minsky's financial instability hypothesis, the effects of capital adequacy and reserve requirements on banking, and results from simulations of the Eurace@Unibi macroeconomic model exploring how financial constraints impact the amplitude of economic recessions and the activity of firms and banks.
This document summarizes some of the key challenges in computational finance, specifically around valuing and risk managing derivatives. It discusses how derivatives are priced using simple models but notes credit and liquidity risks were not fully accounted for. It then covers the importance of credit valuation adjustments to account for counterparty default. The rest of the document discusses the complexity of implementing these adjustments at a portfolio level with many instruments and counterparties, and the use of GPUs to help with the significant computational requirements. Finally, it outlines some research projects underway to develop more advanced modeling techniques.
Positioning project, programme and portfolio risk Dr David Hancock
What is meant by risk and is it different from the project, programme, portfolio and organisational perspective. How does it differ fro Major Projects and what about wicked, tame and messes.
Risky business: Guide to Risk ManagementMichael Le
This document provides an introduction to risk management. It defines risk as the probability of an undesired event multiplied by its consequences. There are various types of risk, including market risk, credit risk, and operational risk. Risk is measured using techniques like value at risk and profit and loss. Credit ratings are important but not always reliable indicators of risk. Effective risk management requires understanding potential risks from diverse sources, quantifying exposures, and implementing systems to monitor and report on risk.
The Role Of Mathematical Models In The Current Financial Crisis Athula Alwisathula_alwis
The document discusses the role of mathematical models in the current financial crisis and lessons that can be learned. Key points include:
1) Mathematical models played a role in the crisis by being over-relied upon and used inappropriately to represent complex market conditions.
2) Models failed to capture important risks like liquidity, concentration, and systemic risk. Assumptions used in models were not properly validated.
3) One of the major lessons is that models are tools and should not replace human judgment. Multiple models and metrics are needed to avoid overreliance on any single approach. Assumptions must reflect business realities.
1. The document discusses the verification of financial models to ensure their correctness and correspondence to real-life situations. This involves checking the model assumptions, implementation, and calibration.
2. Examples of model applications that require verification include technical analysis, derivatives pricing, risk measurement, and trading algorithms. Verification methods include backtesting on historical data and simulating specific market conditions.
3. Verification is important as it can find errors in a model or its implementation, help prevent financial disasters, and ensure efforts are not duplicated but provide additional value.
EXTENT Conference - October 2011
Test Automation for Trading Systems
Verification of Financial Models:Duplication of Development Efforts?
Alyona Lamash, Head of Risk Management Systems Practice Innovative Trading Systems
Boris Rabinovich, Senior QA Analyst ITS
Repo, Security, Collateral Management –are we on the right track? - Godfried ...László Árvai
The document summarizes key findings from an ICMA study on the potential impacts of introducing mandatory buy-ins under the Central Securities Depositories Regulation (CSDR). The study found that liquidity across European bond and repo markets would significantly decrease, with bid-offer spreads widening dramatically. For less liquid bonds, market makers would withdraw liquidity or stop providing quotes altogether. The repo market would also be significantly affected, with more reliance on short-term repo and withdrawals of liquidity for less liquid bonds. The study estimates the costs of these impacts for bond and repo markets would be substantial.
Presentation to National Investor Relations Insittue (NIRI) and Financial Executives Instittue (FEI) in Columbus, Ohio making the business case for business ethics
This document discusses convex risk parity and tail risk management strategies for CVA/XVA portfolios. It notes that CVA/XVA desks manage portfolios rather than perfectly hedge risks, and that these risks involve fat tails. It then discusses convex risk parity and tail management approaches. Specifically, it covers risk parity strategies, criticisms of risk parity, and developments like tail risk parity that focus on drawdown protection rather than just volatility. It also discusses portfolio theory considerations regarding drawdown aversion rather than just volatility. The document aims to provide practical portfolio strategies for managing CVA/XVA and cross-asset portfolios with a focus on tail risks.
John Rutledge, Claremont Graduate University February 14, 2012John Rutledge
This lecture deals with recent developments in an area I call Far-From-Equilibrium economics and applies the work to both the recent financial crisis and optimal portfolio theory.
This document discusses approaches to managing risks in sovereign debt restructuring. It proposes using risk management tools ex post to optimize debt restructuring and restore sustainability, as well as implementing sovereign contingent debt (S-CoCo) instruments ex ante to address risks proactively. S-CoCo bonds would trigger a payment standstill and IMF assistance if crisis indicators exceed thresholds. The document also presents a Greece case study analyzing the potential impact of risk management and S-CoCo on its debt situation. Key challenges to S-CoCo adoption are ensuring a solid investor base and coordination with IMF/ESM programs.
Financial Theory & Model Investment Portfolios Ron Surz
Financial theory and model portfolios have evolved significantly over the past 70 years, with major breakthroughs occurring every 10-15 years. Modern portfolio theory from the 1950s laid the foundations, and subsequent developments include the capital asset pricing model, modern investment theory, post-modern portfolio theory, target date funds, and rising equity glide paths in retirement. Today, consultants build diversified model portfolios along the efficient frontier to map investors to portfolios based on their risk preferences and required returns, with the goal of managing to objectives and achieving the necessary rate of return while staying within appropriate risk capacity limits for the individual.
Presented 25-Sep-2013 for Borsa İstanbul's Vadeli İşlem ve Opsiyon Piyasası (VİOP)
Borsa İstanbul : Vadeli İşlem ve Opsiyon Piyasası (VİOP)
- popular strategies' concentrate strikes & cause some skew
- review implied probabilities and conditional payoff are model-free
- gamma trading shows dynamic hedge issues
- volatility is not a normal "asset class"
- market maker's priorities for hedging jumps
- key hidden assumptions causing model risk
- important portfolio mismatch risks
- spotting real options & non-economic options
http://borsaistanbul.com/en/news/2013/09/26/borsa-istanbul-organizes-the-first-of-futures-and-options-market-seminar-series
H2O Consulting is a risk analytics firm with operations in Lugano (Switzerland), specialized in Quantitative Finance, Risk Management, Behavioral Finance and Sentiment Analysis solutions.
We are passionate about innovation and Swiss tradition, creating concrete values and delivering superior quality.
We compete on the market with our awareness, enthusiasm and commitment to our clients.
We believe that our staff is the greatest resource in accomplishing our vision, mission, and goals.
Part 7 switzerland - forum nexus finance class summer 2011Brian David Butler
The document discusses international finance concepts including the "pyramid of promises", fixed vs. flexible exchange rates, and the size of the global financial system. It notes that the modern financial system represents a pyramid of promises totaling $140 trillion in 2005, with the US holding $52 trillion in promises. It describes how exchange rate systems have historically shifted between fixed and flexible regimes and explains some of the tradeoffs between the two approaches.
Gs503 vcf lecture 7 innovation finance i 300315Stephen Ong
This document discusses financing innovation through R&D and the use of Monte Carlo simulation and real options analysis. It begins by looking at typical sources of R&D funding in the US and definitions of basic research, applied research, and development. It then discusses challenges in financing long-term projects like pharmaceutical R&D. Strategic alliances and licensing are presented as major sources of funding for small biotech companies. The document introduces tools like event trees, decision trees, and Monte Carlo simulation that can be used to evaluate projects with uncertainty. It explains how these tools relate to venture capital valuation of companies with significant R&D components.
1) The use of structured credit products grew dramatically from 1996 to 2008, especially credit default swaps and collateralized debt obligations (CDOs).
2) The Gaussian copula model was widely used to price CDOs, but it had limitations and flaws that became apparent, such as assuming a single correlation parameter and not allowing for idiosyncratic defaults.
3) More advanced models were developed to address these issues, including stochastic correlation models, implied copula approaches, and dynamic loss models. However, fitting market prices remained challenging.
High Dimensional Quasi Monte Carlo methods in FinanceStefano Scoleri
Contents:
- Generalities on MC and QMC methods in Pricing and Risk Management
- Global Sensitivity Analysis
- Adjoint Algorithmic Differentiation
- Application to price and Greeks computation of single- and multi-asset options
- Application to the computation of CCR measures
High Dimensional Quasi Monte Carlo Method in FinanceMarco Bianchetti
Monte Carlo simulation in finance has been traditionally focused on pricing derivatives. Actually nowadays market and counterparty risk measures, based on multi-dimensional multi-step Monte Carlo simulation, are very important tools for managing risk, both on the front office side (sensitivities, CVA) and on the risk management side (estimating risk and capital allocation). Furthermore, they are typically required for internal models and validated by regulators.
The daily production of prices and risk measures for large portfolios with multiple counterparties is a computationally intensive task, which requires a complex framework and an industrial approach. It is a typical high budget, high effort project in banks.
In this presentation we focus on the Monte Carlo simulation, showing that, despite some common wisdom, Quasi Monte Carlo techniques can be applied, under appropriate conditions, to successfully improve price and risk figures and to reduce the computational effort.
This work includes and extends our paper M. Bianchetti, S. Kucherenko and S. Scoleri, “Pricing and Risk Management with High-Dimensional Quasi Monte Carlo and Global Sensitivity Analysis”, Wilmott Journal, July 2015 (also available at http://ssrn.com/abstract=2592753).
Bubbles, Crashes & the Financial Cyclepkconference
This document summarizes a presentation given by Sander van der Hoog and Herbert Dawid from Bielefeld University titled "Bubbles, Crashes & the Financial Cycle" given at the 12th International Post-Keynesian Conference in Kansas City in September 2014. The presentation outlines topics related to agent-based macroeconomics, Minsky's financial instability hypothesis, the effects of capital adequacy and reserve requirements on banking, and results from simulations of the Eurace@Unibi macroeconomic model exploring how financial constraints impact the amplitude of economic recessions and the activity of firms and banks.
This document summarizes some of the key challenges in computational finance, specifically around valuing and risk managing derivatives. It discusses how derivatives are priced using simple models but notes credit and liquidity risks were not fully accounted for. It then covers the importance of credit valuation adjustments to account for counterparty default. The rest of the document discusses the complexity of implementing these adjustments at a portfolio level with many instruments and counterparties, and the use of GPUs to help with the significant computational requirements. Finally, it outlines some research projects underway to develop more advanced modeling techniques.
Positioning project, programme and portfolio risk Dr David Hancock
What is meant by risk and is it different from the project, programme, portfolio and organisational perspective. How does it differ fro Major Projects and what about wicked, tame and messes.
1. GLOBAL STANDARD IN FINANCIAL ENGINEERING cqf.com
Alumni Lectures CERTIFICATE IN
FINANCE
and Masterclasses CQF
Alumni Lectures
The Alumni Lectures are the biggest component of Lifelong Learning and contains a library of over 500 hours
of lectures on every conceivable finance subject. Delivered by some of the most eminent practitioners and
academics, the content is ever expanding as additional lectures continually take place. When you start the CQF
they are offered to you at no extra cost, in perpetuity.
Please see below for a selection of the Alumni Lectures:
Credit Exotic Options (Paul Wilmott)
Recent Developments in Credit Risk (Wim Schoutens) Advanced Equity Models: Pricing, Calibration and Monte Carlo
Modeling and Measuring Sovereign Credit Risk (Ephraim Clark) Simulation (Wim Schoutens)
Copulas: Applications to the Pricing of Credit Derivatives (Seb Lleo) Repo Rates and Short Selling Restrictions (Paul Wilmott)
The Pricing of CDO’s Using Levy Copulas (Wim Schoutens) The Life of a Fundamental Analyst (Anneke Minnema)
Jumps in Credit Risk Modeling and Intensity Models: Theory,
Calibration, Pricing (Wim Schoutens) Fixed Income
CDS Pricing: Market Approach (Moorad Choudhry) Black 76 (Espen Haug)
Synthetic CDO Note Pricing (Moorad Choudhry) The Market Price of Risk (Paul Wilmott)
Copula and Implementing CDO Pricing (Siyi Zhou) Managing Smile Risk (Pat Hagan)
CDOs, Correlation Products and Dangers Therein (Paul Wilmott) Advanced BGM (Peter Jaeckel)
Copulas and CDO Implementation (Siyi Zhou) The Heath, Jarrow and Morton Model (Paul Wilmott)
Correlation Sensitivity and State Dependence (Paul Wilmott Probabilistic Methods for Interest Rates (Seb Lleo)
and Siyi Zhou) Fixed Income Modelling (Lecture IV) (Claudio Albenese)
Structural Models (Alonso Pena) Fixed Income Modelling (Lecture III) (Claudio Albenese)
Intensity Models (Siyi Zhou) Fixed Income Modelling (Lecture II) (Claudio Albenese)
Introduction to Credit Derivatives (Moorad Choudhry) Fixed Income Modelling (Lecture I) (Claudio Albenese)
Credit Default Swaps (Alonso Pena)
Advanced Credit Derivatives (Seb Lleo) Risk Management
Understanding the Financial Markets in the Subprime Era
Equity (Bill Ziemba)
Convertible Bonds (Paul Wilmott) Classic Quant Mistakes (Paul Wilmott)
The Feedback Effect of Hedging in Illiquid Markets (Paul Wilmott) Long Short Portfolio Optimization Under Mean-Variance-CVaR
Dividend Modeling and Option Pricing (Some Practitioners’ Framework (Gautam Mitra)
Models and a New Model) (Ralf Korn) Validation of Derivatives Pricing Models (Dario Cziraky)
Ten Ways to Derive Black-Scholes (Paul Wilmott) Trading Derivatives: Real Markets, Real Model, Real Smiles
Pricing a Class of Options via Moments and SDP Relaxations (Nasir Afaf)
(Milhail Zervos) Scenarios and Risk Control for Hedge Funds (Bill Ziemba)
How to Hedge (Paul Wilmott) The Scandal of Prediction (audio only) (Nassim Nicholas Taleb)
Multi-Asset Options (Paul Wilmott) That’s No Way to Run an Economy (Aaron Brown)
Miscellaneous Options (Paul Wilmott) Infinite Variance (Seb Lleo)
Lookback Options (Paul Wilmott) CrashMetrics (Paul Wilmott)
Asian Options (Paul Wilmott)
Strongly Path Dependent Options (Paul Wilmott) Trading
Barrier Options (Paul Wilmott) A Market Impact Model that Works (Dan di Bartolomeo)
Black-Scholes Model (Paul Wilmott) Optimal Execution of Portfolio Transactions: A Review
Binomial Model (Paul Wilmott) (Ekaterina Kochieva)
Random Behaviour of Assets (Paul Wilmott)
The “Non-Greek” Non-Foundation of Derivative Pricing Mathematics
(Elie Ayache) Can You Count on your Correlation Matrix? (Nick Higham)
Term Sheets (Paul Wilmott) Singular Peturbation Problems Arising in Mathematical Finance:
2. E: info@cqf.com W: cqf.com
Fluid Dynamics Concepts in Option Pricing (Peter Duck) The Polphemus Perspective – Use of Single Factor Risk Models
Derivatives and Stochastic Control (Paul Wilmott) (Jason MacQueen)
Method Of Separation Of Variables (Riaz Ahmad) Risk Decomposition and Risk Budgeting (Jason MacQueen)
Introduction to Copulas (Seb Lleo) Reverse Optimization for Portfolio Rebalancing (Jason MacQueen)
Fundamentals of Optimization (Seb Lleo) Markowitz was Wrong! (Jason MacQueen)
Can You Feel the Heat? Inverse Problems in Finance ICA and Hedge Fund Returns (Andrew Robinson)
(Andreas Binder) Beyond Black-Litterman (Attilio Meucci)
Differential Equations (Riaz Ahmad) Symmetric Downside Sharpe Ratio (Bill Ziemba)
Quants Toolbox (Riaz Ahmad) Investment Lessons From Blackjack And Gambling (Paul Wilmott)
Martingales (Riaz Ahmad) Fundamentals of Optimization and Application to Portfolio
American Options (Riaz Ahmad) Selection (Seb Lleo)
Stochastic Calculus (Riaz Ahmad)
Linear Algebra (Riaz Ahmad) Programming
Black Scholes, Mathematical Methods and Intro to Numerical The New C++ Standard (Roger Orr)
Methods (Riaz Ahmad) Introduction to Volatility Trading and Variance Swaps
Methods for Quant Finance: I (Riaz Ahmad) (Sebastien Bossu)
Methods for Quant Finance: II (Riaz Ahmad)
Martingales and PDEs: Which, When and Why (Seb Lleo) Further Lectures
Martingales and PDEs: More Which, When and Why (Seb Lleo) Quant Day (NAG and Paul Wilmott)
Complex Analysis (Riaz Ahmad) Is a Manhattan Project necessary to prevent financial
Armageddon? (Iris Mack)
Numerical Methods Real Options (Nick Mayor)
Software Issues in Wavelet Analysis of Financial Data Lateral Thinking (Alice Auld)
(Robert Tong) Acceptability Applications (Dilip Madan)
VBA Workshop (Mike Staunton) Problem Solving Lecture II (Alice Auld)
An Introduction to Spreadsheet Risk (Grenville Croll) Behavioral Finance (Andy Duncan)
Monte Carlo Simulation and Early Exercise (Paul Wilmott) How the Fundamental Analysts Work in Banks (Anneke Minnema)
Finite Difference Model (Paul Wilmott) Scaling Financial Analysis Applications with Matlab and Star-P
Monte Carlo Simulations (Paul Wilmott) (Andy Greenwell)
Numerical Integration (Paul Wilmott) The Risky Horror Show (Andreas Binder)
Convertible Bond Coding Workshop (Paul Wilmott) Computing a Nearest Correlation Matrix with Factor Structure
VG Modeling (Paul Wilmott) (Nick Higham)
Using GPUs for Computational Finance (Mike Giles)
Portfolio Management CQF Research Workshop 1 – Feedback, High Frequency Trading,
Equity Portfolio Risk Management (Jason MacQueen) Serial Autocorrelation Memory etc. (Paul Wilmott)
Frankenstein’s Model or the Perfect Union? (Richard Young and The Credit Crunch: Past, Present and Future (Michael J. Oliver)
Jason MacQueen) What Signals Worked and What Did Not, 1980-2009 (Bill Ziemba)
Financial Modelling using Garch Processes (Kyriakos Chourdakis)
Alumni Masterclasses
The Alumni Masterclasses allow alumni to delve deeper into specific subjects after they have completed the core
CQF program. These one or two day courses are delivered by leading practioners and respected academics. The
full list comprises more than 70 hours of additional material and is included in the cost of the CQF.
Please see below for a selection of the Masterclasses:
Volatility, Advanced Modeling with PC Workshops Behavioral Science in Finance: Phenomena,
Tutor: Paul Wilmott Diagnosis, Therapy
Duration: 2 days Tutor: Henriette Prast
Duration: 1 day
VG Modeling: Pricing Financial Derivatives in Equity
and Credit Risk Operator Methods in Fixed Income and Credit
Tutor: Wim Schoutens Tutor:Claudio Albanese
Duration: 2 days Duration: 2 days
Exotic Equity Derivatives, Pricing and Hedging Intraday High-Frequency Trading: From Empirical
Tutor: Paul Wilmott Evidence to Quantitative Optimization
Duration: 2 days Tutor: Charles-Albert Lehalle
Duration: 1 day